In non-pregnant individuals, the prefrontal cortex (PFC) is involved in the regulation of emotion, and appears to play a role in anxiety. Near-infrared spectroscopy (NIRS) detects cortical neural activation without harmful radiation making it safe for use in pregnancy. The aims of this study were to assess neural circuitry involved in processing fear-relevant stimuli during pregnancy using NIRS, and to determine associations between activation of this circuitry, distress and anxiety symptoms, attention to threat, cortisol, estrogen, progesterone and testosterone levels. There was significant activation of the PFC in response to fearful faces compared to rest in both pregnant and control groups. Within pregnancy, the activation was most pronounced at trimester 2, compared to the other trimesters. In pregnant women only (all trimesters), PFC activation was significantly associated with increased distress and anxiety, but with decreased selective attention to masked fear. PFC activation was also significantly associated with increased levels of cortisol and testosterone in pregnancy. PFC function appears to be altered during processing of fear-relevant stimuli in pregnancy. Changes in hormone levels may lead to changes in PFC function, and in turn to changes in cognitive-affective processing and anxiety. Further work is needed, however, to explore precisely how PFC function is altered in pregnancy; it is possible that certain changes reflect altered processing of threat stimuli, while others reflect attempts to compensate for distressing and anxious symptoms that emerge during pregnancy.